Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 5 |
| Score | 8.09 | 11.45 | 7.72 |
| Market Cap (Millions USD) | 1979.7 | 1752.69 | 1584.33 |
| Predicted Beta | 3.5 | 3.5 | 3.5 |
| Idiosyncratic Volatility | 5.64 | 5.47 | 5.39 |
Annualized return and volatility
| SOXX | |
|---|---|
| Annualized Return | 0.0770 |
| Annualized Std Dev | 0.3116 |
| Annualized Sharpe (Rf=0%) | 0.2469 |
Row
Daily Return Statistics
| SOXX | |
|---|---|
| Observations | 4721.0000 |
| NAs | 393.0000 |
| Minimum | -0.1095 |
| Quartile 1 | -0.0093 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0105 |
| Maximum | 0.1172 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0004 |
| Stdev | 0.0196 |
| Skewness | 0.1115 |
| Kurtosis | 3.0428 |
Downside Risk
| SOXX | |
|---|---|
| Semi Deviation | 0.0138 |
| Gain Deviation | 0.0139 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0183 |
| Downside Deviation (Rf=0%) | 0.0136 |
| Downside Deviation (0%) | 0.0136 |
| Maximum Drawdown | 0.7021 |
| Historical VaR (95%) | -0.0311 |
| Historical ES (95%) | -0.0450 |
| Modified VaR (95%) | -0.0300 |
| Modified ES (95%) | -0.0430 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-08-03 | 2008-11-20 | 2014-02-12 | -0.7021 | 3205 | 1869 | 1336 |
| 2018-03-13 | 2018-12-24 | 2019-03-21 | -0.2525 | 263 | 203 | 60 |
| 2015-06-02 | 2015-08-25 | 2016-07-18 | -0.2464 | 289 | 61 | 228 |
| 2019-04-25 | 2019-05-31 | 2019-07-24 | -0.1816 | 64 | 26 | 38 |
| 2014-09-19 | 2014-10-13 | 2014-11-21 | -0.1645 | 47 | 17 | 30 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | SOXX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | 5.2 | 0.0 | -3.3 | 6.1 | 0.0 | 0.0 | 8.0 |
| 2002 | -1.0 | 9.3 | 2.5 | 0.4 | 0.0 | -4.5 | -5.5 | 0.0 | 5.7 | 4.9 | 0.0 | 0.0 | 11.3 |
| 2003 | 0.0 | 0.0 | 0.6 | -0.1 | 0.0 | 1.9 | 1.2 | 0.0 | 1.5 | 0.0 | 1.0 | 0.0 | 6.3 |
| 2004 | 0.0 | 1.7 | 2.0 | 0.0 | -0.9 | -3.7 | 0.0 | 1.3 | 4.7 | 0.4 | 4.2 | 0.0 | 9.9 |
| 2005 | 1.2 | 2.2 | -1.3 | 0.0 | 0.7 | 0.3 | 0.2 | -1.0 | 0.0 | -1.1 | 3.4 | 0.0 | 4.7 |
| 2006 | 1.0 | 3.9 | 0.0 | -0.9 | 2.3 | 0.0 | -2.1 | -0.9 | 0.0 | -1.8 | -1.4 | 0.0 | 0.0 |
| 2007 | 0.8 | -0.7 | 0.0 | 0.3 | 0.9 | 0.0 | 0.5 | 0.0 | 2.1 | -1.7 | 0.0 | 0.0 | 2.2 |
| 2008 | 5.3 | 0.0 | 4.2 | 3.7 | 0.0 | -0.4 | -0.9 | 0.0 | -0.5 | 0.0 | -7.6 | 0.0 | 3.3 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.3 | 5.3 | 1.6 | 0.0 | -2.6 | -4.8 | 0.0 | 3.2 | 0.0 | 4.6 |
| 2010 | 3.4 | 2.4 | 0.0 | 0.0 | -2.1 | -0.2 | 0.0 | 2.9 | -0.1 | -0.3 | 3.0 | 0.0 | 9.1 |
| 2011 | 2.5 | -1.9 | -1.1 | 0.0 | -2.9 | 2.1 | -0.1 | -1.6 | 0.0 | -3.2 | 0.7 | 0.0 | -5.6 |
| 2012 | 2.2 | 0.1 | 0.0 | 0.3 | -4.3 | 0.0 | 0.0 | 0.0 | -0.4 | 3.1 | 0.0 | 0.0 | 0.9 |
| 2013 | 1.9 | -0.4 | -2.0 | -0.8 | 0.0 | -0.1 | 1.7 | 0.0 | 1.0 | -0.4 | 0.0 | 0.0 | 0.8 |
| 2014 | 0.0 | 0.0 | 1.6 | -0.3 | 0.0 | 1.4 | 0.3 | 0.0 | -2.4 | 0.0 | -1.3 | 0.0 | -0.8 |
| 2015 | 0.0 | 0.0 | -0.6 | 2.8 | 0.1 | 0.2 | 0.0 | -3.5 | -1.2 | 0.0 | 1.6 | 0.0 | -0.9 |
| 2016 | 0.4 | 2.7 | 0.7 | 0.0 | 0.5 | -0.8 | 0.1 | 0.8 | 0.0 | -0.9 | -4.9 | 0.0 | -1.5 |
| 2017 | 1.6 | 1.6 | 0.0 | 1.0 | 0.1 | 0.0 | 0.6 | 0.4 | 0.0 | -0.4 | -1.1 | 0.0 | 3.9 |
| 2018 | -0.5 | -1.6 | 0.0 | 1.6 | 2.3 | 0.0 | -0.1 | 0.0 | 0.3 | 4.7 | 0.0 | 0.0 | 6.8 |
| 2019 | 1.2 | 0.9 | 2.5 | -0.8 | 0.0 | 2.5 | -2.0 | 0.0 | -0.9 | 2.3 | 0.0 | 0.2 | 5.9 |
Row
Rolling Performance Chart
Snail Trail Chart
